Registration and licensing are different things, and what you found is registration. Counties want to know who's bidding and where to send money, so they take a W-9, an entity name, and a deposit. That's an administrative step, not a professional license.
Whether anything more is required depends on the state and on what you do after you hold the certificate. A few states impose registration or reporting duties on people who buy liens in volume, some limit or condition who can bid, and once you move to foreclosure you're in a court process where you'll need a licensed attorney in that state regardless. Rules also differ on whether an out-of-state LLC has to register as a foreign entity in the state before it can hold or enforce a certificate. Those are state law questions and you need a lawyer licensed there to answer them for your structure, not a forum.
On your friend's E&O point, that coverage is for people who give advice or handle other people's transactions. Buying liens for your own account isn't that.
@wren has the more useful insurance question. A certificate is a lien position, so there's usually nothing to insure while you hold it. The day title passes to you, you own a building you've likely never been inside, and that's when you need a vacant property or builder's risk policy in place. Line up the carrier before that date, not after, because vacant coverage takes longer to bind than people expect.
